In a well developed financial market with liquid short term fixed income trading, the volatility of short term fixed income securities forms a continuous spectrum that converges to zero, the volatility of riskless asset. This means that the attainable combinations of risky assets contain the...

There has been constant debate about the predictability of the security markets. We examine the relationship between the prices of a stock and its convertible bond during the Hong Kong stock market bubble of 1997 and its subsequent crash. We find that the price behavior of the share and the...

We put forward new benchmarks and solution concepts for Adversarial Mechanism Design, as defined by [MV07.a], and we exemplify them in the case of truly combinatorial auctions.We benchmark the combined performance (the sum of the auction's efficiency and revenue) of a truly combinatorial auction...

We put forward new benchmarks and solution concepts for Adversarial Mechanism Design, as defined by [MV07.a], and we exemplify them in the case of truly combinatorial auctions.We benchmark the combined performance (the sum of the auction's effciency and revenue)of a truly combinatorial auction...

At the end of 2009, countries in the Eurozone began to experience a sudden divergence of bond yields as the perceived prospect of sovereign default risk increased. This paper examines the potential spillovers between the liquidity of the sovereign credit default swap (CDS) market and the...

This study explores two important aspects of entrepreneurship -- liquidity constraints and serial entrepreneurs, with an additional analysis of occupational choice among wage workers. In the first essay, I revisit the question of whether entrepreneurs face liquidity constraints in business...

Department: Graduate School of Business.